I have never felt unsafe in Costa Rica. However, I do not go to the beaches or the cities. I don't leave my gear unattended unless I'm someplace like Rancho Naturalista or another lodge where it feels secure. I do have a PacSafe which is basically a stainless steel mesh bag to put your pack/camera bag in. When I traveled solo in a rental I would put my bag in the PacSafe on the floor of the backseat, lock it to the rear leg of the front seat and throw a towel or something over it. Likewise when I stayed in a sketchy hotel I locked the PacSafe to the bedframe when I left the room.
Be aware and sensible. I don't think it's less safe (and probably more safe) than New Orleans, Washington DC, or other large urban areas.